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Professional Interests: computational finance - statistics

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Functions to estimate copula GARCH and copula Vine models.

87 downloads

1 year ago

The input arguments in myfunc and myconstr should(?) be identical. I changed myconstr to [c, ceq] = myconstr(theta, data, spec) ...

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Answered 5 years ago

Hello all my optimization problem is as follows: function fval = myfunc(theta,data,spec) % the objective function defined ...

2 Answers

Asked 5 years ago

Dear John thanks for the prompt reply. My function is a likelihood function, therefore I have to pass to the function the data ...

14297 views

Responded 6 years ago

Dear all s however it does not say if there is a function that does exactly that. Does anyboby know the name of this function,...

Posted 6 years ago

I do not know if this would help but when I had a similar problem Peter Perkins from mathworks suggested that the numerical Hess...

11674 views

47 downloads

7 years ago

Dear all I am trying to use glasso for matlab, downloaded from: http://www-stat.stanford.edu/~tibs/glasso/ . I unzipped th...

1 Answers

Asked 2 years ago

Hi all I want to solve the following problem: max: f(x)=x'Ax+b'x, where x=[x1;x2;x3], A=[2 -5 -10;-5 3 -5;-10 -5 4] and ...

Asked 4 years ago

copula - GARCH models are not supported, yet, from the statistics or the econometrics toolbox in MATLAB. You can try my toolbox ...

6537 views

Steven thank you for the very helpfull comment. I have exactly the same problem as Marco, however my constraints are linear ther...

4894 views

Responded 5 years ago

I will upload a toolbox named dynamic copula toolbox later today (25/09/2009) for a description use the command it estimates ...

4474 views

I use fminunc to optimize a function (a multivariate likelihood). The optimization starts, and after a few iterations I get the ...

4243 views

For using the symbolic toolbox for matrix calculus one has to know the symbolic exprsession of each element in the symbolic matr...

4139 views

Hello Can anyone tell me if there is a toolbox for symbolic matrix calculus available? I have searched in MATLAB central with n...

Hi all I want to write routines that estimate the parameters of a multivariate regime switching model, with the EM algorithm. If...

3550 views

Posted 5 years ago

Godambe information matrix is the covariance matrix of the estimation error of a parameters vector theta, when the distribution ...

3216 views

Posted 7 years ago

I am guessing that what you get is the variance covariance matrix. If so, the standard errors are the square root of the main di...

3048 views

Can anyone help me on this error message? My options: options = optimset('Algorithm','interior-point','Display','iter','MaxFun...

3025 views

the only thing that concerns me Alan is the issue with passing the extra hessian parameters to optimset. The issue on the object...

2962 views

Dear Alan Thanx for keep trying to help me. The only reason I tried this... function handle option is because you and I thing L...

unfortunately my options don't work... the objective function is: [logl, gradient, hessian, out] = AR_GARCHlogl(theta, data, di...

Dear Alan Thanks for the reply, sorry for missing your other post. Q1 and Q3 are clear but I am still note sure about Q2 (decla...

Dear all There are some issues in optimization with user - supplied derivatives I couldn't clarify from the documentation and I...

hi I try to estimate the multivariate normal cdf for a matrix with size 1700x40. The command is: y=mvncdf(data,[],cov); and I g...

2756 views

I want to estimate a function (a multivariate log-likelihood) subject to some linear and non-linear constraints. The function is...

2405 views

Hi, all The econometrics toolbox estimates GARCH models however I could find anywhere details about the estimation, like: 1. T...

2361 views

Dear all I am having some problems using varargout.I red the documentation but it seems that I am missing something. This is my...

2309 views

I am interested in calculating analytical gradient and hessian of some multivariate likelihoods. To do this, matrix calculus kno...

2303 views

I use fminunc to optimize a function and the following error appears: ??? Error using ==> roots at 28 Input to ROOTS must not c...

2267 views

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